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Let X and Y be two independent random variables. Which one of the relations between expectation (E), variance (Var) and covariance (Cov) given below is FALSE?

A. E(XY) = E(X) E(Y)

B. Cov (X, Y) = 0

C. Var (X + Y) = Var (X) + Var (Y)

D. E(X2Y2) = (E(X))2 (E(Y))2

Answer: Option D


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